This paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment horizon does indeed matter in the asset allocation. The VAR parameters estimates are then used to compute real returns conditional volatility across investme...

The present study attempts to investigate the relationship between spatial configuration changes of Qom and the central core in the last half century. The main objective of this study is to review the Spatial form of Qom, and analyze the effect of changes in Urban configuration on the central core of the city and the main axes of urban activities during 1946 to 2011 and ultimately, Forecast the...

In this paper, nonlinear receding horizon control (NMPC) is implemented on a laboratory quadruple-tank system, which is a nonlinear multi-variable process with state constraints as well as input constraints. A fast numerical algorithm called C/GMRES is employed to implement nonlinear receding horizon control of quadruple-tank system, in which the continuation method is combined with a fast algo...

When working with large stochastic models simulation remains the only possible analysis technique. Therefore, simulative model checking is the way to go. While finite time horizon algorithms are well known for probabilistic linear-time temporal logic, we provide an infinite time horizon procedure as well as steady state computation, based on exact stochastic simulation algorithms. We demonstrat...

We examine the dynamic pricing decision of a …rm facing random demand while selling a …xed stock of two di¤erentiated products over an in…nite horizon. Prices in each period depend on the available stock of both products (varieties). In addition to the standard tradeo¤ between a higher revenue and the probability of selling the product, a higher price for one product also a¤ects the probability...

We study the development of a social norm of trust and reciprocity via the contagious strategy as de ned in Kandori (1992) among a group of strangers. The players anonymously and randomly meet each other and play a binary trust game in the in nite horizon. In order to provide the investors with proper incentives to follow the contagious strategy, the su cient condition requires that there exist...

We prove theorems pertaining to periodic arrays of spherical obstacles which show how the macroscopic limit of the mean free path depends on the scaling of the size of the obstacles. We treat separately the cases where the obstacles are totally and partially absorbing, and we also distinguish between two-dimensional arrays, where our results are optimal, and higher dimensional arrays where they...

Optimal feedback solutions to the in nite-horizon LQR problem with state and input constraints based on receding horizon real-time quadratic programming are well known. In this paper we develop an explicit solution to the same problem, eliminating the need for real-time optimization. A suboptimal strategy, based on a suboptimal choice of a nite horizon and imposing additional limitations on the...